Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 20.07 +.45%
- Euro/Yen Carry Return Index 129.58 -.13%
- Emerging Markets Currency Volatility(VXY) 9.60 +.42%
- S&P 500 Implied Correlation 48.0 -.7%
- ISE Sentiment Index 89.0 -4.3%
- Total Put/Call 1.18 +26.9%
- NYSE Arms 1.29 +64.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 77.80 -1.43%
- America Energy Sector High-Yield CDS Index 696.0 -3.79%
- European Financial Sector CDS Index 107.22 +1.15%
- Italian/German 10Y Yld Spread 263.25 +3.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 90.25 -.60%
- Emerging Market CDS Index 192.02 +.65%
- iBoxx Offshore RMB China Corporate High Yield Index 152.95 -.38%
- 2-Year Swap Spread 14.75 +.25 basis point
- TED Spread 34.75 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap 2.5 -2.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 68.0 +.02%
- 3-Month T-Bill Yield 2.42% -2.0 basis points
- Yield Curve 16.75 +3.25 basis points
- China Iron Ore Spot 72.35 USD/Metric Tonne +.12%
- Citi US Economic Surprise Index -6.60 +1.9 points
- Citi Eurozone Economic Surprise Index -86.8 -2.6 points
- Citi Emerging Markets Economic Surprise Index -13.5 +1.8 points
- 10-Year TIPS Spread 1.81 -2.0 basis points
- 5.3% chance of Fed rate hike at March 20th meeting, 13.1% chance at May 1st meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +212 open in Japan
- China A50 Futures: Indicating +94 open in China
- DAX Futures: Indicating +7 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/biotech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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